If we want to build an inflation curve we’re going to be using market quotes for zero coupon swaps with a lag, however it does not seem this lag is handled correctly. FixedInflationSwapCurveNode#calculateEnd appears to supply the end date of a swap e.g. BPSWIT1 Curncy is the ticker for a 1Y ZC RPI swap which currently runs from Feb '20 to Feb '21 but is a swap on the Dec '19 - Dec '20 RPI (where Dec '19 is known @ 291.9)
If I build a curve with a valuation date of 2020-02-03 then I end up in InflationNodalCurve#of with the extendedCurve containing y values of [-2, 12, 24…]
One place to “fix” this is InterpolatedNodalCurveDefinition#buildNodeTimes although getting access to the lag is pretty messy. Can you confirm whether this is a bug, and if there’s a better place to fix it?